Asset Prices, News Shocks, and the Trade Balance

Material TypeArticleLanguageEnglish
TitleAsset Prices, News Shocks, and the Trade Balance Author(S)MARCEL FRATZSCHER (Author)
Abstract  We analyze the relationship between asset prices and the trade balance estimating a Bayesian VAR for a broad set of 38 industrialized and emerging market countries. To derive model-based identifying restrictions, we model asset price shocks as news shocks about future productivity in a two-country dynamic stochastic general equilibrium model. Such shocks are found to exert sizable effects on the trade balance. Moreover, the effects are highly heterogeneous across countries. ...Paginationp 1211-1252
SubjectEconomicsDescriptorsEconomics Trade
Journal TitleJournal of Money, Credit, and Banking  
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